The full-tails gamma distribution applied to model extreme values

Joan Del Castillo, Jalila Daoudi and Isabel Serra

Papers from arXiv.org

Abstract: In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory. The results are useful to certain phenomena that are fitted by the Pareto distribution but, at the same time, they present a deviation from this law for very large values. Two examples of data analysis with the new model are provided. The first one is on the influence of climate variability on the occurrence of tropical cyclones. The second one on the analysis of aggregate loss distributions associated to operational risk management.

Date: 2012-11
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1211.0130

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